<p>
  The paper demonstrates there are inefficiencies in the UIP which can be exploited with a hybrid momentum and mean reversion strategy. Although the sample size of the paper is much larger than ours the parameter and significance level of the two models are very close. The strategies we discussed above keep \(\rho \) fixed and only allow \(\mu \) to change by country. If we let \(\rho \) change by lag the significance level of the model might increase, but this could potentially make modeling more difficult by introducing multicollinearity. To test this we wrote this implementation in the algorithm and commented out the lines. If you are interested in exploring this extension to the model you can change these lines to test your strategy.
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